On behalf of a customer, and also having reproduced the scenario:
When using Rules Engine, we only have the ability to “Insert Null Values” when no match is found for a record on a Self-Lookup. Why could we not have another option, such as to skip the record and make no change?
In the documentation, it is stated that this Self-Lookup must be mapped in order to populate the Parent Company ID, since the source data may not have this value; this mapping is shipped OOB. The documentation doesn’t necessarily state that this is going to affect all Company records based on the match-by field. So, if you misconfigure this match-by condition, many Company records will have values nullified.
Related Document: Load to Company Action Type - Gainsight Inc.
This enhancement request is for additional options when no match is found, other than to insert null values, as well as the documentation being updated to reflect the full implications of this functionality in Rules Engine. Please look into this as soon as possible.